6 papers · 1 filter
Inference for High-Dimensional Local Projection
Jiti Gao, Fei Liu, Bin Peng
This paper rigorously analyzes the properties of the local projection (LP) methodology within a high-dimensional (HD) framework, with a central focus on achieving robust long-horiz…
Panel Data Estimation and Inference: Homogeneity versus Heterogeneity
Jiti Gao, Fei Liu, Bin Peng +1
In this paper, we define an underlying data generating process that allows for different magnitudes of cross-sectional dependence, along with time series autocorrelation. This is a…
Robust Estimation and Inference for High-Dimensional Panel Data Models
Jiti Gao, Fei Liu, Bin Peng +1
This paper provides the relevant literature with a complete toolkit for conducting robust estimation and inference about the parameters of interest involved in a high-dimensional p…
A Robust Residual-Based Test for Structural Changes in Factor Models
Bin Peng, Liangjun Su, Yayi Yan
In this paper, we propose an easy-to-implement residual-based specification testing procedure for detecting structural changes in factor models, which is powerful against both smoo…
Estimation and Inference for Three-Dimensional Panel Data Models
Guohua Feng, Jiti Gao, Fei Liu +1
Hierarchical panel data models have recently garnered significant attention. This study contributes to the relevant literature by introducing a novel three-dimensional (3D) hierarc…
Localized Neural Network Modelling of Time Series: A Case Study on US Monetary Policy
Jiti Gao, Fei Liu, Bin Peng +1
In this paper, we investigate a semiparametric regression model under the context of treatment effects via a localized neural network (LNN) approach. Due to a vast number of parame…